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A nonlinear expectations model of the term structure of interest rates with time-varying risk premia
Lee, Bong-soo - In: Journal of money, credit and banking : JMCB 21 (1989) 3, pp. 348-367
Persistent link: https://www.econbiz.de/10001074068
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Uniform asymptotic risk of averaging GMM estimator robust to misspecification
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - 2015 - Rev., second version
Persistent link: https://www.econbiz.de/10011326763
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Estimating Long-Run Risks in Developed and Developing Countries : A Particle MCMC Approach
Ho, Steven Wei - 2019
We estimate a generalized version of the Long-Run Risk model in a panel of developed and developing countries using consumption, dividend growth, and asset returns data by utilizing the particle filter, while allowing for measurement errors in consumption data at quarterly and annual...
Persistent link: https://www.econbiz.de/10012897110
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Parameter estimation in uncertain differential equations
Yao, Kai; Liu, Baoding - In: Fuzzy optimization and decision making : a journal of … 19 (2020) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10012225042
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On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979
the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper …
Persistent link: https://www.econbiz.de/10012049321
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Efficient estimation of risk preferences
Wu, Feng; Guan, Zhengfei - In: American journal of agricultural economics 100 (2018) 4, pp. 1172-1185
Persistent link: https://www.econbiz.de/10011959849
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Parameter estimation for uncertain fractional differential equations
He, Liu; Zhu, Yuanguo; Lu, Ziqiang - In: Fuzzy optimization and decision making : a journal of … 22 (2023) 1, pp. 103-122
Persistent link: https://www.econbiz.de/10014227970
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Asymptotic results on tail moment for light-tailed risks
Wang, Bingjie; Li, Jinzhu - In: Insurance : mathematics and economics 114 (2024), pp. 43-55
Persistent link: https://www.econbiz.de/10015049355
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Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing models ; conference paper
Grammig, Joachim; Schaub, Eva-Maria - 2014
The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...
Persistent link: https://www.econbiz.de/10010490550
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Risk control : who cares?
Taylor, Nicholas - In: European financial management : the journal of the … 23 (2017) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10011713430